Derivative Instruments (Tables)

6 Months Ended

Jun. 30, 2018

Summary of Gross Fair Values of Individual Derivative Instruments

The following tables summarize the gross fair values of individual derivative instruments and the impact of legal rights of offset as reported in the Consolidated Balance Sheets as of June 30, 2018 and December 31, 2017:



	Gross Amounts of Recognized Assets / Liabilities		Gross Amounts Offset in the Consolidated Balance Sheet		Net Amounts of Assets/ Liabilities Presented in the Consolidated Balance Sheet		Gross Amount of Collateral Received / Pledged Not Offset in the Consolidated Balance Sheet		Net Amount
June 30, 2018:
Derivative Assets:
Interest rate swaps	$	56,147	$	161	$	55,986	$	—	$	55,986
Futures contracts	524		—		524		—		524
Total non-VIE derivative assets	$	56,671	$	161	$	56,510	$	—	$	56,510
Derivative Liabilities:
Credit derivatives	$	1,326	$	—	$	1,326	$	—	$	1,326
Interest rate swaps	66,483		161		66,322		65,563		759
Total non-VIE derivative liabilities	$	67,809	$	161	$	67,648	$	65,563	$	2,085
Variable Interest Entities Derivative Assets:
Currency swaps	$	60,403	$	—	$	60,403	$	—	$	60,403
Total VIE derivative assets	$	60,403	$	—	$	60,403	$	—	$	60,403
Variable Interest Entities Derivative Liabilities:
Interest rate swaps	$	1,992,227	$	—	$	1,992,227	$	—	$	1,992,227
Total VIE derivative liabilities	$	1,992,227	$	—	$	1,992,227	$	—	$	1,992,227

December 31, 2017:
Derivative Assets:
Interest rate swaps	$	73,826	$	627	$	73,199	$	—	$	73,199
Total non-VIE derivative assets	$	73,826	$	627	$	73,199	$	—	$	73,199
Derivative Liabilities:
Credit derivatives	$	566	$	—	$	566	$	—	$	566
Interest rate swaps	81,495		627		80,868		79,912		956
Futures contracts	1,348		—		1,348		1,348		—
Total non-VIE derivative liabilities	$	83,409	$	627	$	82,782	$	81,260	$	1,522
Variable Interest Entities Derivative Assets:
Currency swaps	$	54,877	$	—	$	54,877	$	—	$	54,877
Total VIE derivative assets	$	54,877	$	—	$	54,877	$	—	$	54,877
Variable Interest Entities Derivative Liabilities:
Interest rate swaps	$	2,205,264	$	—	$	2,205,264	$	—	$	2,205,264
Total VIE derivative liabilities	$	2,205,264	$	—	$	2,205,264	$	—	$	2,205,264

Summary of Location and Amount of Gains and Losses of Derivative Contracts

There were no amounts held representing an obligation to return cash collateral as of June 30, 2018 and December 31, 2017.

The following tables summarize the location and amount of gains and losses of derivative contracts in the Consolidated Statements of Total Comprehensive Income (Loss) for the three and six months ended June 30, 2018 and 2017:



	Location of Gain or (Loss) Recognized in Consolidated Statements of Total Comprehensive Income (Loss)	Amount of Gain or (Loss) Recognized in Consolidated Statement of Total Comprehensive Income (Loss)
		Three Months Ended June 30,						Six Months Ended June 30,
		2018			2017			2018			2017
Non-VIEs:
Credit derivatives	Net change in fair value of credit derivatives	$	(217	)	$	6,624		$	(563	)	$	7,676
Non-VIE derivatives:
Interest rate swaps	Net gains (losses) on interest rate derivatives	1,620			37,141			6,163			37,249
Futures contracts	Net gains (losses) on interest rate derivatives	7,529			(3,073		)	28,523			(4,695		)
Total Non-VIE derivatives		9,149			34,068			34,686			32,554
Variable Interest Entities:
Currency swaps	Income (loss) on variable interest entities	14,143			(9,951		)	5,526			(14,899		)
Interest rate swaps	Income (loss) on variable interest entities	163,229			34			213,038			14,530
Total Variable Interest Entities		177,372			(9,917		)	218,564			(369		)
Total derivative contracts		$	186,304		$	30,775		$	252,687		$	39,861

Summary of Gross Principal Notional Outstanding for CDS Contracts

The following table summarizes the gross principal notional outstanding for CDS contracts, by Ambac rating as of June 30, 2018 and December 31, 2017:



Ambac Rating	June 30, 2018		December 31, 2017
AAA	$	—	$	—
AA	165,387		175,765
A	—		—
BBB ⁽¹⁾	145,850		150,125
Below investment grade ⁽²⁾	—		—
Total	$	311,237	$	325,890


(1)	BBB internal ratings reflect bonds which are of medium grade credit quality with adequate capacity to pay interest and repay principal. Certain protective elements and margins may weaken under adverse economic conditions and changing circumstances. These bonds are more likely than higher rated bonds to exhibit unreliable protection levels over all cycles.


(2)	Below investment grade internal ratings reflect bonds which are of speculative grade credit quality with the adequacy of future margin levels for payment of interest and repayment of principal potentially adversely affected by major ongoing uncertainties or exposure to adverse conditions.

Summary of Notional Amounts of AFS's Trading Derivative Products

As of June 30, 2018 and December 31, 2017 the notional amounts of AFS’s derivatives are as follows:



	Notional
Type of derivative	June 30, 2018		December 31, 2017
Interest rate swaps—receive-fixed/pay-variable	$	375,951	$	379,497
Interest rate swaps—pay-fixed/receive-variable	1,463,331		1,428,264
US Treasury futures contracts—short	1,805,000		1,655,000

Variable Interest Entity, Not Primary Beneficiary, Aggregated Disclosure [Member]

Summary of Notional Amounts of AFS's Trading Derivative Products

The notional for VIE derivatives outstanding as of June 30, 2018 and December 31, 2017 are as follows:



	Notional
Type of VIE derivative	June 30, 2018		December 31, 2017
Interest rate swaps—receive-fixed/pay-variable	$	1,447,493	$	1,483,491
Interest rate swaps—pay-fixed/receive-variable	2,396,479		2,479,244
Currency swaps	371,038		394,541
Credit derivatives	11,152		12,100

- Definition

Tabular disclosure of credit derivatives which includes information by sellers of credit derivatives, about each credit derivative, or each group of similar credit derivatives, including (a) the nature of the credit derivative - its term, how it arose, the events or circumstances that would require the seller to perform under the credit derivative, and the current status of the payment/performance risk of the credit derivative; (b) the maximum potential amount of future payments (undiscounted) the seller could be required to make under the credit derivative; (c) the current fair value of the credit derivative; and (d) the nature of any recourse provisions under the credit derivative, and any assets held either as collateral or by third parties. A credit derivative is a derivative instrument (1) in which one or more of its underlyings are related to the credit risk of a specified entity (or a group of entities) or an index based on the credit risk of a group of entities and (2) that exposes the seller to potential loss from credit-risk-related events specified in the contract. Examples of credit derivatives within the scope of this paragraph include, but are not limited to, credit default swaps, credit spread options, and credit index products; also includes a hybrid instrument that has an embedded credit derivative (for example, but not limited to, a credit-linked note).

+ References + Details